How volatility evolves over time

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
mwindow	81
αARCH	0.2008	20.10***
βGARCH	0.8015	85.99***
γleverage	-0.2008	-11.27***
λ₁tau intercept	0.5447	0.65
λ₂forecast adj.	0.9757	38.70***
λ₃tau persistence	0.0150	16.81***

Parameter	Value	t-statistic
m window Rolling window length	81
α ARCH Response to squared shocks	0.2008	20.10***
β GARCH Volatility persistence	0.8015	85.99***
γ leverage Additional response to negative shocks	-0.2008	-11.27***
λ₁ tau intercept Baseline long-term coefficient	0.5447	0.65
λ₂ forecast adj. Forecast performance sensitivity	0.9757	38.70***
λ₃ tau persistence Long-term factor persistence	0.0150	16.81***

V-Lab

Nidec Chaun-Choung Techno ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Nidec Chaun-Choung Techno Analyses